References

• 1973The Pricing of Options and Corporate Liabilities29,064 cited
• 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
• 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
• 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
• 1993Measuring and Testing the Impact of News on Volatility3,692 cited
• 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
• 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
• 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
• 1994Multivariate Stochastic Variance Models1,367 cited
• 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
• 1995Predicting Volatility in the Foreign Exchange Market723 cited
• 2001Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns589 cited
• 1996An evaluation of volatility forecasting techniques479 cited
• 1996GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study467 cited
• 1994Stochastic volatility in asset prices estimation with simulated maximum likelihood